A novel hybrid algorithm for mean-CVaR portfolio selection with real-world constraints

In this paper, we employ the Conditional Value at Risk (CVaR) to measure the portfolio risk, and propose a mean-CVaR portfolio selection model. In addition, some real-world constraints are considered. The constructed model is a non-linear discrete optimization problem and difficult to solve by the classic optimization techniques. A novel hybrid algorithm based particle swarm optimization (PSO) and artificial bee colony (ABC) is designed for this problem. The hybrid algorithm introduces the ABC operator into PSO. A numerical example is given to illustrate the modeling idea of the paper and the effectiveness of the proposed hybrid algorithm

Diversifying search in bee algorithms for numerical optimisation

© Springer Nature Switzerland AG 2018. Swarm intelligence offers useful instruments for developing collective behaviours to solve complex, ill-structured and large-scale problems. Efficiency in collective behaviours depends on how to harmonise the individual contributions so that a complementary collective effort can be achieved to offer a useful solution. The harmonisation helps blend diversification and intensification suitably towards efficient collective behaviours. In this study, two renown honeybees-inspired algorithms were analysed with respect to the balance of diversification and intensification and a hybrid algorithm is proposed to improve the efficiency accordingly. The proposed hybrid algorithm was tested with solving well-known highly dimensional numerical optimisation (benchmark) problems. Consequently, the proposed hybrid algorithm has demonstrated outperforming the two original bee algorithms in solving hard numerical optimisation benchmarks

A Hybrid Artificial Bee Colony Algorithm for Graph 3-Coloring

The Artificial Bee Colony (ABC) is the name of an optimization algorithm that was inspired by the intelligent behavior of a honey bee swarm. It is widely recognized as a quick, reliable, and efficient methods for solving optimization problems. This paper proposes a hybrid ABC (HABC) algorithm for graph 3-coloring, which is a well-known discrete optimization problem. The results of HABC are compared with results of the well-known graph coloring algorithms of today, i.e. the Tabucol and Hybrid Evolutionary algorithm (HEA) and results of the traditional evolutionary algorithm with SAW method (EA-SAW). Extensive experimentations has shown that the HABC matched the competitive results of the best graph coloring algorithms, and did better than the traditional heuristics EA-SAW when solving equi-partite, flat, and random generated medium-sized graphs

Numerical study of augmented lagrangian algorithms for constrained global optimization

To cite this article: Ana Maria A.C. Rocha & Edite M.G.P. Fernandes (2011): Numerical study of augmented Lagrangian algorithms for constrained global optimization, Optimization, 60:10-11, 1359-1378This article presents a numerical study of two augmented Lagrangian algorithms to solve continuous constrained global optimization problems. The algorithms approximately solve a sequence of bound constrained subproblems whose objective function penalizes equality and inequality constraints violation and depends on the Lagrange multiplier vectors and a penalty parameter. Each subproblem is solved by a population-based method that uses an electromagnetism-like (EM) mechanism to move points towards optimality. Three local search procedures are tested to enhance the EM algorithm. Benchmark problems are solved in a performance evaluation of the proposed augmented Lagrangian methodologies. A comparison with other techniques presented in the literature is also reported

Hybridizing the electromagnetism-like algorithm with descent search for solving engineering design problems

In this paper, we present a new stochastic hybrid technique for constrained global optimization. It is a combination of the electromagnetism-like (EM) mechanism with a random local search, which is a derivative-free procedure with high ability of producing a descent direction. Since the original EM algorithm is specifically designed for solving bound constrained problems, the approach herein adopted for handling the inequality constraints of the problem relies on selective conditions that impose a sufficient reduction either in the constraints violation or in the objective function value, when comparing two points at a time. The hybrid EM method is tested on a set of benchmark engineering design problems and the numerical results demonstrate the effectiveness of the proposed approach. A comparison with results from other stochastic methods is also included

Feasibility and dominance rules in the electromagnetism-like algorithm for constrained global optimization

This paper presents the use of a constraint-handling technique, known as feasibility and dominance rules, in a electromagnetismlike (ELM) mechanism for solving constrained global optimization problems. Since the original ELM algorithm is specifically designed for solving bound constrained problems, only the inequality and equality constraints violation together with the objective function value are used to select points and to progress towards feasibility and optimality. Numerical experiments are presented, including a comparison with other methods recently reported in the literature

Evolving an optimal decision template for combining classifiers.

In this paper, we aim to develop an effective combining algorithm for ensemble learning systems. The Decision Template method, one of the most popular combining algorithms for ensemble systems, does not perform well when working on certain datasets like those having imbalanced data. Moreover, point estimation by computing the average value on the outputs of base classifiers in the Decision Template method is sometimes not a good representation, especially for skewed datasets. Here we propose to search for an optimal decision template in the combining algorithm for a heterogeneous ensemble. To do this, we first generate the base classifier by training the pre-selected learning algorithms on the given training set. The meta-data of the training set is then generated via cross validation. Using the Artificial Bee Colony algorithm, we search for the optimal template that minimizes the empirical 0–1 loss function on the training set. The class label is assigned to the unlabeled sample based on the maximum of the similarity between the optimal decision template and the sample’s meta-data. Experiments conducted on the UCI datasets demonstrated the superiority of the proposed method over several benchmark algorithms

Theoretical and practical convergence of a self-adaptive penalty algorithm for constrained global optimization

This paper proposes a self-adaptive penalty function and presents a penalty-based algorithm for solving nonsmooth and nonconvex constrained optimization problems. We prove that the general constrained optimization problem is equivalent to a bound constrained problem in the sense that they have the same global solutions. The global minimizer of the penalty function subject to a set of bound constraints may be obtained by a population-based meta-heuristic. Further, a hybrid self-adaptive penalty firefly algorithm, with a local intensification search, is designed, and its convergence analysis is established. The numerical experiments and a comparison with other penalty-based approaches show the effectiveness of the new self-adaptive penalty algorithm in solving constrained global optimization problems.The authors would like to thank the referees, the Associate Editor and the Editor-in-Chief for their valuable comments and suggestions to improve the paper. This work has been supported by COMPETE: POCI-01-0145-FEDER-007043 and FCT - Funda¸c˜ao para a Ciˆencia e Tecnologia within the projects UID/CEC/00319/2013 and UID/MAT/00013/2013.info:eu-repo/semantics/publishedVersio